Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Oct 02 (1D) | Oct 03 (2D) | Oct 06 (5D) | Oct 07 (6D) | Oct 08 (7D) | Oct 09 (8D) | Oct 10 (9D) | Oct 13 (12D) | Oct 14 (13D) | Oct 15 (14D) | Oct 17 (16D) | Oct 24 (23D) | Oct 31 (30D) | Nov 07 (37D) | Nov 14 (44D) | Nov 21 (51D) | Nov 28 (58D) | Dec 05 (65D) | Dec 12 (72D) | Dec 19 (79D) | Dec 26 (86D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 660.353 | 657.94 | 653.151 | 651.908 | 650.764 | 649.70 | 648.70 | 645.996 | 645.172 | 644.379 | 642.873 | 638.236 | 634.266 | 630.738 | 627.53 | 624.569 | 621.805 | 619.204 | 616.739 | 614.391 | 612.146 |
| upper | 672.007 | 674.42 | 679.209 | 680.452 | 681.596 | 682.66 | 683.66 | 686.364 | 687.188 | 687.981 | 689.487 | 694.124 | 698.094 | 701.622 | 704.83 | 707.791 | 710.555 | 713.156 | 715.621 | 717.969 | 720.214 |
| expected move | 5.827 | 8.24 | 13.029 | 14.272 | 15.416 | 16.48 | 17.48 | 20.184 | 21.008 | 21.801 | 23.307 | 27.944 | 31.914 | 35.442 | 38.65 | 41.611 | 44.375 | 46.976 | 49.441 | 51.789 | 54.034 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
